Momentum (academic papers)
Alpha momentum * Huehn, H. and Scholz, H. Alpha Momentum and Price Momentum (2013). SSRN Long momentum backtests * Hurst, B., Ooi, Y. and Pedersen, L. A Century of Evidence on Trend-Following Investing (2017). SSRN * Geczy, Christopher C. and Samonov Mikhail. 212 Years of Price Momentum (The World's Longest Backtest: 1801 - 2012) (2013). SSRN Momentum seasonality / Mom-Tom * Van Hemert, O. The MOM-TOM Effect: Detecting the Market Impact of CTA Trading (2014). SSRN * Sias, R. Causes and Seasonality of Momentum Profits (2007). Link Momentum Crashes / Timing * Cheema, M., Nartea, G. and Man, Y. Cross-Sectional and Time-Series Momentum Returns and Market States (2017). SSRN * Daniel, K., Klos, A. and Rottke, S. Overpriced Winners (2016). Link * Han, Y., Zhou, G. and Zhu, Y. Taming Momentum Crashes: A Simple Stop-Loss Strategy (2015). SSRN * Heidari, M. Momentum Crash Management (2015). SSRN * Grobys, K. Another Look at Momentum Crashes (2015). SSRN * Grobys, K. Momentum in Global Equity Markets in Times of Troubles: Does the Economic State Matter? (2014). SSRN * Han, Y., Zhou, G. and Zhu, Y. Taming Momentum Crashes: A Simple Stop-Loss Strategy (2014). SSRN * Chabot, B., Ghysels, E. and Jagannathan, R. Momentum Trading, Return Chasing and Predictable Crashes (2014). SSRN * Yan, P. Crowded Trades, Short Covering, and Momentum Crashes (2014). SSRN * Avramov, D., Cheng, S. and Hameed, A. Time-Varying Liquidity and Momentum Profits (2013). SSRN * Bohl, M., Czaja, M. and Kauffman, P. Momentum Profits, Market Cycles, and Rebounds: Evidence from Germany (2013). SSRN * Daniel, K. and Moskowitz, T. Momentum Crashes (2013). SSRN * Daniel, K. Jagannathan, R. and Kim, S. Tail Risk in Momentum Strategy Returns (2012). SSRN * Barroso, P. and Santa-Clara, P. Momentum Has Its Moments (2012). SSRN * Asem, E. and Tian, G. Market Dynamics and Momentum Profits (2007). SSRN * Gutierrez, R., Cooper, M. and Hameed, A. Market States and Momentum (2003). SSRN * Grundy, B. and Martin, S. Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (1997). SSRN Momentum Ignition * Momentum Ignition Events (January 2007 to March 2012) for every 5-second period between 12:00 and 13:00 (2012). Link * "Momentum Ignition" - The Market's Parasitic 'Stop Hunt' Phenomenon Explained (2012). Link * How Algos Orchestrate "Momentum Ignition" Chaos (2012). Link All asset classes * Baltas, N. Trend-Following, Risk-Parity and the influence of Correlations (2015). SSRN * Zakamulin, V. The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules (2014). SSRN * Asness, Clifford S. et. al. Fact, Fiction and Momentum Investing (2014). SSRN * Dao, T. Momentum Strategies: From Novel Estimation Techniques to Financial Applications (2013). SSRN * du Plessis, J., Hallerbach, W. and Spreij, P. Demystifying momentum: Time-series and cross-sectional momentum, volatility and dispersion (2013). Link * Asness, Clifford S., Moscowitz, Tobias J. and Pedersen, Lasse H. Value and Momentum Everywhere (2012). SSRN * Keller, Wouter J. and Van Putter, Hugo S. Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach (2012). SSRN * Antonacci, G. Risk Premia Harvesting Through Dual Momentum (2012). SSRN * Kessler, S. and Scherer, B. Macro Momentum and the Economy (2010). Link * Blitz, D. and P. van Vliet. Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes (2008). SSRN Equity * Goyal, A. and Wahal, S. Is Momentum an Echo? (2015). Link * Da, Z., Gutun, U. and Warachka, M. Frog in the Pan: Continuous Information and Momentum (2015). SSRN * Zakamulin, V. A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies (2015). SSRN * Heidari, M. Over or Under? Momentum, Idiosyncratic Volatility and Overreaction (2015). SSRN * Goetzmann, W. and Huang, S. Momentum in Imperial Russia (2015). SSRN * Oord, A. Optimization of Equity Momentum: (How) Does it Work? (2015). SSRN * Dudler, M., Gmur, B. and Malamud, S. Momentum and Risk Adjustment (2015). Link * Rahim, K. Market Condition and Momentum (2015). Link * Ardila, D., Forro, Z. and Sornette, D. The Acceleration Effect and Gamma Factor in Asset Pricing (2015). SSRN * Schmidt, P. et. al. Size and Momentum Profitability in International Stock Markets (2015). SSRN * Chen, H., Chou, P. and Hsieh, C. Persistency of the Momentum Effect: The Role of Consistent Winners and Losers (2015). SSRN * Gulen, H. and Petkova, R. Absolute Strength: Exploring Momentum in Stock Returns (2015). SSRN * Berghorn, W. and Otto, S. Mandelbrot Market-Model and Momentum (2015). SSRN * Raza, A., Marshall, B. and Visaltanachoti, N. Is the 52-Week High Momentum Strategy Profitable in the Foreign Exchange Market? (2014) SSRN * Marshall, B., Nguyen, N. and Visaltanachoti, N. Time-Series Momentum versus Moving Average Trading Rules (2013). SSRN * Blitz, D., Huij, J. and Martens, M. Residual Momentum (2013). SSRN * Takeuchi, L. and Lee, Y. Applying Deep Learning to Enhance Momentum Trading Strategies in Stocks (2013). Link * Antonacci Gary. Absolute Momentum: a Simple Rule-Based Strategy and Universal Trend-Following Overlay (2013). SSRN * Novy-Marx, R. Is momentum really momentum? (2012). Link * Liu, M., Liu, Q. and Ma, T. The 52-Week High Momentum Strategy in International Stock Markets (2009). SSRN * Hwang, C. and George, T. The 52-Week High and Momentum Investing (2008). SSRN * Gutierrez, R., Cooper, M. and Hameed, A. Market States and Momentum (2002). SSRN * Jegadeesh, N. and Titman, S. Momentum (2002). SSRN * Lee, Charles M.C. and Swaminathan, B. Price Momentum and Trading Volume (1998). SSRN * Jegadeesh, N. and Titman, S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993). Link Futures * De Groot, W., Karstanje, D. and Zhou, W. Exploiting Commodity Momentum Along the Futures Curves (2014). SSRN * Hutchinson, Mark C. and O'Brien, John J. Is This Time Different? Trend Following and Financial Crises (2014). SSRN * Fuertes, M., Miffre, J. and Rallis, G. Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2008). SSRN Fixed Income * Durham, J. Momentum and the Term Structure of Interest Rates (2014). SSRN ETFs * Andreu, L., Swinkels, L. and Tjong-A-Tjoe, L. Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum? (2008) SSRN Currencies * Orlov, V. Currency Momentum, Carry Trade and Market Illiquidity (2014). SSRN * Amen, S. Beta'em Up: What is Market Beta in FX? (2014). SSRN * Accominotti, O. and Chambers, D. Out-of-Sample Evidence on the Returns to Currency Trading (2013). SSRN * Menkhoff, L. et. al. Currency Momentum Strategies (2011). SSRN * Kroencke, Tim A., Schindler, F. and Schrimpf, A. International Diversification Benefits with Foreign Exchange Investment Styles (2011). SSRN * db Currency Returns (2007). Link * Bianchi, R., Drew, Michael E. and Polichronis, J. A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7 (2004). Link * Okunev, J. and White, D. Do Momentum Based Strategies Still Work In Foreign Currency Markets? (2001) Link REITs * Moss, A. et. al. Trend Following and Momentum Strategies for Global REITs (2015). SSRN Country / Sector / Industry momentum * Szakmary, Andrew C. and Zhou, X. Industry momentum in an earlier time: Evidence from the Cowles data (2013). SSRN * Chen, Linda H., Jiang, George J. and Zhu, Kevin X. Do Style and Sector Indexes Carry Momentum (2012). SSRN * Hong, X., Jordan, B. and Liu, M. Industry Information and the 52-Week High Effect (2011). SSRN * Nijman, T., Verbeek, M. and Swinkels, L. Do Countries or Industries Explain Momentum in Europe? (2005) SSRN * Naranjo, A. and Porter, R. Burt. Cross-Country Comovement of Momentum Returns (2004). SSRN * Moskowitz, Tobias J. and Grinblatt, M. Do Industries Explain Momentum? (1999) Link Link Mutual Funds Momentum * Sapp, T. The 52-Week High, Momentum, and Predicting Mutual Fund Returns (2009). SSRN Category:Momentum